Harvest contract price volatility for cotton

Darren Hudson, Keith Coble

Research output: Contribution to journalArticlepeer-review

15 Scopus citations

Abstract

Changes in agricultural and international trade policy have increased attention to issues of price volatility and risk management. Previous work in the area of price volatility has typically focused on grains, with little work dealing with cotton. The objective of this analysis was to examine the determinants of price volatility for cotton, focusing on the growing season volatility of the harvest contract. Different econometric techniques, including ARCH/GARCH, were employed to estimate the effects of a set of variables on price volatility. The potential for a nonlinear relationship between price and volatility was examined. Findings suggest a significant seasonal pattern to volatility as well as a nonlinear relationship between price and volatility. The results also suggest that cotton price volatility has not significantly changed with respect to changes in agricultural policy.

Original languageEnglish
Pages (from-to)717-733
Number of pages17
JournalJournal of Futures Markets
Volume19
Issue number6
DOIs
StatePublished - 1999

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